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Article: International capital standards, bank portfolios and bank stock risk

TitleInternational capital standards, bank portfolios and bank stock risk
Authors
Issue Date2002
PublisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/routledge/09603107.html
Citation
Applied Financial Economics, 2002, v. 12 n. 7, p. 527-534 How to Cite?
AbstractThe results suggest that the composition of bank portfolios affect the market risk (beta) of bank stock returns. In particular, the 20% asset category, which primarily includes government agency securities is associated with increases in market risk, indicating assets in this category are exposed to higher interest rate risk and prepayment risk. The market risk is lower for those institutions who concentrate on one-to-four family residential mortgages, suggesting home mortgages are well collateralized assets with low perceived credit risk. The off-balance sheet activities on average exhibit no significant impact on market risk. The results also suggest that the market perception of the insurer's expected liability is heavily influenced by Tier 1 capital ratio.
Persistent Identifierhttp://hdl.handle.net/10722/177694
ISSN
2015 SCImago Journal Rankings: 0.244
References

 

DC FieldValueLanguage
dc.contributor.authorMohanty, SKen_US
dc.contributor.authorSong, Fen_US
dc.date.accessioned2012-12-19T09:39:33Z-
dc.date.available2012-12-19T09:39:33Z-
dc.date.issued2002en_US
dc.identifier.citationApplied Financial Economics, 2002, v. 12 n. 7, p. 527-534en_US
dc.identifier.issn0960-3107en_US
dc.identifier.urihttp://hdl.handle.net/10722/177694-
dc.description.abstractThe results suggest that the composition of bank portfolios affect the market risk (beta) of bank stock returns. In particular, the 20% asset category, which primarily includes government agency securities is associated with increases in market risk, indicating assets in this category are exposed to higher interest rate risk and prepayment risk. The market risk is lower for those institutions who concentrate on one-to-four family residential mortgages, suggesting home mortgages are well collateralized assets with low perceived credit risk. The off-balance sheet activities on average exhibit no significant impact on market risk. The results also suggest that the market perception of the insurer's expected liability is heavily influenced by Tier 1 capital ratio.en_US
dc.languageengen_US
dc.publisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/routledge/09603107.htmlen_US
dc.relation.ispartofApplied Financial Economicsen_US
dc.titleInternational capital standards, bank portfolios and bank stock risken_US
dc.typeArticleen_US
dc.identifier.emailSong, F: fmsong@hkucc.hku.hken_US
dc.identifier.authoritySong, F=rp01095en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1080/09603100010009948en_US
dc.identifier.scopuseid_2-s2.0-0036288270en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0036288270&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume12en_US
dc.identifier.issue7en_US
dc.identifier.spage527en_US
dc.identifier.epage534en_US
dc.publisher.placeUnited Kingdomen_US
dc.identifier.scopusauthoridMohanty, SK=7202569589en_US
dc.identifier.scopusauthoridSong, F=7203075605en_US

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